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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Orange Juice(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   41 44 44 45 45 45 45 45 45 45 45
Closed Higher   16 27 22 24 22 28 13 24 20 26 16
Exceeded High   15 20 17 19 18 21 10 11 16 19 9
Scenario Percentage   94% 74% 77% 79% 82% 75% 77% 46% 80% 73% 56%
Avg Max Increase   6.52% 7.43% 11.60% 14.37% 8.96% 15.70% 14.37% 13.44% 11.16% 8.19% 6.05%
Max Increase   18.06% 18.40% 42.70% 43.51% 23.65% 62.21% 29.47% 21.39% 28.32% 17.20% 16.32%
Avg Days To Max Increase   15 17 15 14 17 16 15 21 15 10 6
Avg Max Decline   -2.06% -1.67% -2.99% -0.85% -1.23% -2.75% -2.10% -3.54% -1.77% -2.81% -0.46%
Max Decline   -10.34% -7.37% -17.46% -6.46% -7.22% -11.34% -10.80% -10.03% -8.38% -12.78% -1.91%
Avg Days to Max Decline   11 10 15 3 10 14 8 10 3 7 1
2014 Contract Condition     Yes       Yes   Yes Yes Yes  
Action     No       Yes   Yes Yes Yes  
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   41 44 44 45 45 45 45 45 45 45 45
Closed Lower   25 17 21 21 23 17 32 21 25 19 29
Penetrated Low   16 11 17 15 16 14 28 13 18 12 6
Scenario Percentage   64% 65% 81% 71% 70% 82% 88% 62% 72% 63% 21%
Avg Max Decline   7.61% 8.04% 8.39% 8.76% 9.74% 12.49% 10.57% 10.18% 9.35% 9.43% 6.58%
Max Decline   13.35% 19.86% 23.81% 18.33% 21.27% 22.67% 25.94% 24.98% 25.09% 30.88% 19.28%
Avg Days To Max Decline   17 14 18 18 24 18 19 13 15 12 7
Avg Max Increase   -1.74% -2.30% -2.47% -0.96% -4.22% -3.45% -3.14% -2.11% -4.32% -1.15% -1.87%
Max Increase   -5.15% -6.17% -7.32% -5.20% -14.90% -15.84% -14.42% -4.44% -13.65% -4.28% -4.87%
Avg Days to Max Increase   12 13 10 5 20 9 10 4 10 6 2
2014 Contract Condition   Yes   Yes Yes Yes   Yes       Yes
Action   No   Yes Yes No   No       Not Yet
High 149.90 151.70 147.10 146.45 140.80 135.10 142.95 148.70 150.15 149.20 157.25 168.30
Low 138.70 130.15 132.65 131.40 128.50 121.10 124.20 137.65 137.85 139.75 144.00 150.60
Close/Last 148.40 131.40 145.05 138.80 136.85 126.35 142.95 140.45 143.35 146.75 155.00 154.60

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